Sabina

Does Sabina's heal blue not work while the heavy has immunity, if the heavy is one of the 2 minions in radius?

Sabina's blue checks presence.

Can Sabina swap a big friendly minion with another minion using Roger-Roger (blue card)?

As long as it's not immune - sure.

Can multi-attack actions (e.g. Whisper's tier 3 blue, or Sabina) defeat multiple minions on a siege if they would be the last minions, including the other minion you are also killing?

It depends. If targeting is simultaneous “up to X”, then no. If sequential, then yes.